Asymptotically Efficient Estimation of the Derivative of the Invariant Density |
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| Authors: | Arnak S Dalalyan Yury A Kutoyants |
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| Institution: | (1) Laboratoire de Statistique et Processus, Université du Maine, Avenue Messiaen, 72085 Le Mans, Cedex 9, France |
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| Abstract: | The problem of estimation of the derivative of the invariant density is considered for a one-dimensional ergodic diffusion process. The lower minimax bound on the L
2-type risk of all estimators is proposed and an asymptotically efficient (up to the constant) in the sense of this bound kernel-type estimator is constructed. |
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| Keywords: | ergodic diffusion invariant density derivative estimation asymptotical efficiency Pinsker's constant |
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